IWM Options History — December 2009

In December 2009, IWM traded between $58.96 and $63.36. ATM implied volatility averaged 24.0%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.7% (HV 20d: 21.3%). Max pain ranged from $56.00 to $65.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.57.

Notable Days

2009-12-22: Highest Volume — 3,347,677 contracts
2009-12-28: Largest IV spike — 10.3% change
2009-12-31: Highest IV Rank — 8.7%
2009-12-03: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.20	$58.96	$63.36	$58.99	$62.44
Max Pain	$60.36	$56.00	$65.00	$56.00	$65.00
ATM IV	24.0%	19.6%	27.9%	27.0%	23.9%
Expected Move	6.9%	5.6%	8.0%	7.7%	6.8%
HV 20d	21.3%	14.9%	25.9%	25.9%	15.5%
HV 60d	23.7%	22.1%	24.4%	24.1%	22.1%
IV Rank	3.0%	0.0%	8.7%	4.9%	8.7%
IV Percentile	4.6%	0.0%	25.8%	13.9%	4.0%
Term Structure	2.0%	0.0%	3.4%	0.2%	2.1%
VWIV	26.2%	21.5%	31.4%	31.2%	25.0%
Skew 25d	6.1%	5.2%	7.6%	6.3%	5.6%
Skew 10d	13.0%	10.6%	15.9%	13.7%	14.2%
Call IV 25d	21.6%	17.7%	25.4%	24.8%	20.7%
Put IV 25d	27.7%	23.3%	31.9%	31.0%	26.3%
Bid-Ask Spread %	3.74	2.03	5.97	5.62	2.46
Gamma HHI	0.08	0.07	0.10	0.08	0.07
Net GEX	-194.9M	-258.2M	-97.6M	-216.5M	-199.0M
Net DEX	528.3M	-1.03B	1.77B	1.60B	1.70B
Net VEX	-27.2M	-29.7M	-24.3M	-29.4M	-27.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.57	0.06	5.75	3.33	2.59
Total Volume	402,146	153,673	3,347,677	430,562	216,047
Total OI	5,522,809.273	5,036,831	6,109,071	5,150,590	5,437,267

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-12-01	$58.99	$56.00	27.0%	7.7%	25.9%	4.9%	31.2%	6.3%	0.2%	-216.5M	1.60B	-29.4M	3.33	5.62	99,394	331,168	1,508,455	3,642,135
2009-12-02	$59.69	$56.00	25.9%	7.4%	25.7%	2.8%	27.1%	5.9%	0.3%	-203.8M	950.8M	-29.5M	2.32	4.80	55,731	129,285	1,549,164	3,763,755
2009-12-03	$58.96	$56.00	27.9%	8.0%	25.5%	7.3%	30.3%	6.4%	0.4%	-232.0M	1.77B	-29.7M	3.91	5.32	62,139	242,791	1,557,202	3,744,671
2009-12-04	$60.42	$56.00	26.8%	7.7%	24.6%	4.8%	28.8%	5.9%	0.0%	-176.5M	199.0M	-28.6M	2.54	5.26	108,485	275,630	1,577,925	3,830,760
2009-12-07	$60.51	$58.00	26.0%	7.5%	24.6%	3.2%	31.4%	5.9%	0.4%	-202.3M	281.9M	-28.0M	2.46	4.97	61,997	152,452	1,601,644	3,904,072
2009-12-08	$60.04	$58.00	26.7%	7.7%	23.9%	4.7%	28.8%	6.0%	0.6%	-250.5M	909.0M	-28.3M	2.87	5.23	70,066	201,157	1,627,070	3,962,371
2009-12-09	$59.85	$58.00	24.2%	7.3%	23.8%	0.0%	26.3%	6.2%	1.1%	-234.4M	947.3M	-28.2M	2.01	4.33	88,716	178,673	1,637,049	3,963,704
2009-12-10	$59.61	$60.00	26.1%	7.5%	23.8%	4.3%	28.3%	7.6%	2.2%	-258.2M	1.29B	-29.4M	5.75	3.25	31,923	183,684	1,654,322	4,039,995
2009-12-11	$60.17	$60.00	25.6%	7.3%	22.9%	3.1%	28.9%	7.0%	2.5%	-251.4M	804.9M	-28.6M	3.90	2.89	52,740	205,780	1,651,826	4,103,556
2009-12-14	$61.08	$60.00	24.6%	7.0%	23.2%	0.7%	26.4%	6.8%	2.7%	-204.5M	-368.1M	-26.9M	1.66	3.52	71,936	119,201	1,669,114	4,252,783
2009-12-15	$60.91	$60.00	24.1%	6.9%	21.4%	0.0%	26.2%	6.4%	2.7%	-217.0M	-150.2M	-27.1M	2.29	2.77	86,505	197,912	1,672,910	4,224,130
2009-12-16	$61.30	$60.00	23.6%	6.8%	21.5%	0.0%	25.1%	6.2%	2.7%	-198.1M	-617.5M	-26.4M	2.99	2.77	56,782	169,710	1,668,306	4,308,504
2009-12-17	$60.62	$60.00	23.4%	6.7%	21.9%	0.0%	25.5%	6.3%	2.8%	-245.8M	-96.3M	-27.0M	1.51	4.13	120,777	182,770	1,677,564	4,401,886
2009-12-18	$61.18	$60.00	23.4%	6.7%	19.9%	0.0%	25.3%	6.7%	2.7%	-208.5M	-596.9M	-26.8M	2.52	4.10	115,486	291,377	1,691,342	4,417,729
2009-12-21	$61.99	$60.00	21.1%	6.1%	20.2%	0.0%	25.1%	6.3%	3.3%	-199.5M	-385.2M	-25.5M	2.26	2.71	77,568	175,148	1,395,896	3,874,494
2009-12-22	$62.57	$60.00	19.6%	5.6%	19.7%	0.0%	22.7%	5.8%	3.4%	-149.1M	-1.03B	-24.3M	0.06	5.97	3,169,532	178,145	1,398,587	3,904,794
2009-12-23	$63.12	$65.00	20.3%	5.8%	19.6%	1.4%	22.9%	5.5%	3.1%	-161.0M	1.11B	-25.4M	1.70	2.43	138,639	236,122	1,015,779	4,021,052
2009-12-24	$63.36	$65.00	20.3%	5.8%	19.6%	1.4%	21.5%	5.5%	3.0%	-126.9M	737.9M	-25.7M	1.95	2.86	52,038	101,635	1,086,496	4,105,850
2009-12-28	$63.26	$65.00	22.4%	6.2%	15.3%	5.6%	23.2%	5.4%	2.5%	-119.4M	801.8M	-25.1M	2.40	2.82	45,536	109,105	1,116,295	4,156,963
2009-12-29	$63.23	$65.00	23.1%	6.2%	15.4%	7.1%	23.0%	5.2%	2.4%	-97.6M	780.5M	-25.0M	3.67	2.08	44,171	162,324	1,125,502	4,181,675
2009-12-30	$63.19	$65.00	23.0%	6.3%	14.9%	7.0%	23.4%	5.5%	2.6%	-136.9M	988.1M	-25.6M	1.85	2.03	69,006	127,929	1,132,539	4,244,671
2009-12-31	$62.44	$65.00	23.9%	6.8%	15.5%	8.7%	25.0%	5.6%	2.1%	-199.0M	1.70B	-27.0M	2.59	2.46	60,099	155,948	1,160,846	4,276,421